Tag Archives: Volatility

Where VIX Comes From

At work, I am sometimes asked this simple but challenging question: “Where does VIX come from?”  There is a reason I am asked this – I am our company’s product manager for volatility indices.  But I admit that I have struggled to come up with an approachable way to explain the methodology of the CBOE […]

Volquakes

Volatility can feel like an earthquake. As many investors can painfully testify, the chart below is typical of volatility.  A period of relative calm is disturbed first by a few small tremors, then by a precipitous rise.  At this point, risk breaks all connections with its normal level and climbs rapidly to a crystalized zenith […]

Sharpe Innovation Awards to ETF and Index That Use VIX Futures – By Matt Moran

On December 9, 2013, the annual William F. Sharpe Indexing Achievement Awards were presented at the Eighteenth Annual IMN Global Indexing and ETFs Conference in Scottsdale, Arizona.  Here are the first two awards that were presented – (1)   Indexing Innovation of the Year — S&P 500 Dynamic VEQTOR Index, which dynamically allocates long-only exposure between […]

Turn VIX into information you can use

Most people think of VIX as simply an index. This makes sense — the “I” in VIX stands for that very word. But VIX is more useful than your average index. It could easily be grouped with economic indicators, like the unemployment percentage or new home sales. Why? Because the VIX level — not just […]

CBOE SKEW Index Hit 19-Month High on Oct. 15, Reflecting Demand for Disaster Protection – By Matt Moran

Earlier this month press reports showed quite a bit of worldwide apprehension over the wrangling in Washington D.C. regarding the partial government shutdown and possible U.S. debt default.  What are some metrics to measure the level of apprehension in the markets? On October 9th the well-known CBOE Volatility Index® (VIX®) hit an intraday high of […]

You’ve seen VIX. Now finally learn what it means.

I’ve come to two realizations about the CBOE Volatility Index, better known as VIX, in my time at S&P Dow Jones Indices. First, this index, which is based on the prices of S&P 500 options, is known throughout the world. I have been fortunate to have lived in some interesting places – Hong Kong, London, […]

VIX Recently Has Been “High” (vs. SPX Historic Volatility) By Matt Moran

Over the past year, and particularly at times when the CBOE Volatility Index® (VIX®) was below 15, several people have asked me questions such as – Why is the VIX so low? Shouldn’t the VIX be at higher levels, particularly in light of worldwide uncertainties and volatility? An argument could be made that VIX recently […]

Introducing the CBOE Low Volatility Index (LOVOL)

Nov. 29, 2012 - Today CBOE introduced the new CBOE Low Volatility IndexSM (ticker: LOVOL), a benchmark index designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The LOVOL Index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a […]

Consumer Sentiment Index Reaches 5-Year High

A Bloomberg news story on Friday Nov. 9th noted – “Confidence among U.S. consumers climbed to a five-year high in November, improving the prospects of bigger spending gains that will help spur the expansion.  The Thomson Reuters/University of Michigan preliminary consumer sentiment index rose to 84.9, the fourth straight increase and the highest since July […]

Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity […]

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